Other packages > Find by keyword >

FinCovRegularization  

Covariance Matrix Estimation and Regularization for Finance
View on CRAN: Click here


Download and install FinCovRegularization package within the R console
Install from CRAN:
install.packages("FinCovRegularization")

Install from Github:
library("remotes")
install_github("cran/FinCovRegularization")

Install by package version:
library("remotes")
install_version("FinCovRegularization", "1.1.0")



Attach the package and use:
library("FinCovRegularization")
Maintained by
YaChen Yan
[Scholar Profile | Author Map]
First Published: 2015-03-01
Latest Update: 2016-04-25
Description:
Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, hard-thresholding and soft- thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.
How to cite:
YaChen Yan (2015). FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance. R package version 1.1.0, https://cran.r-project.org/web/packages/FinCovRegularization. Accessed 29 Mar. 2025.
Previous versions and publish date:
1.0.0 (2015-03-01 08:16)
Other packages that cited FinCovRegularization R package
View FinCovRegularization citation profile
Other R packages that FinCovRegularization depends, imports, suggests or enhances
Complete documentation for FinCovRegularization
Downloads during the last 30 days
02/2702/2803/0103/0203/0303/0403/0503/0603/0703/0803/0903/1003/1103/1203/1303/1403/1503/1603/1703/1803/1903/2003/2103/2203/2303/2403/2503/2603/2703/28Downloads for FinCovRegularization2468101214TrendBars

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
gglgbtq  
Show Pride on 'ggplot2' Plots
Provides multiple palettes based on pride flags with tailored themes. ...
Download / Learn more Package Citations See dependency  
landmix  
Landmark Prediction for Mixture Data
Non-parametric prediction of survival outcomes for mixture data that incorporates covariates and a l ...
Download / Learn more Package Citations See dependency  

23,842

R Packages

207,311

Dependencies

64,420

Author Associations

23,781

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA